We demonstrate that Theil-type variance corrections are required to obtain consistent marginal effect estimates in Nelson-Olsen's two-stage limited dependent variable (2SLDV) model. As Theil's residuals-based corrections are infeasible with 2SLDV, we present variance correction procedures shown...

This article focuses on the modeling of agricultural yield data using hierarchical Bayesian models. In recovering the generating process of these data, we consider the temporal, spatial and spatio-temporal relationships pertinent to the prediction and pricing of insurance contracts based on...

Replaced with revised version of paper 06/28/11.

Replaced with revised version of paper 07/29/09.

Grain prices have risen sharply since 2005 and 2006 affecting livestock markets by increasingfeed prices and leading to significant volatility shocks. The high price levels and magnitude ofsustained high volatilities has raised concerns for many sectors of the economy, in particularthose with...

Threshold cointegration models are used to evaluate spatial price dynamics among regional corn and soybean markets in North Carolina. Thresholds, reflecting the influences of transactions costs, are confirmed and spatial integration is strongly supported. Results indicate that equilibrating...

In this paper we consider two general approaches to the selection of thresholds in multivariate threshold models. The first criteria ignores the cross equation correlation while the latter explicitly accounts for it. We focus on how model selection may be influenced by these alternative...

Copulas have become an important analytic tool for characterizing multivariate distributions and dependence. One is often interested in simulating data from copula estimates. The process can be analytically and computationally complex and usually involves steps that are unique to a given...

An extensive empirical literature addressing the behavior of prices over time and across spatially distinct markets has grown substantially over time. A fundamental axiom of economics|the Law of One Price"|underlies the arbi- trage behavior thought to characterize such relationships. This...

In this study, we develop a new approach to investigate spatial market integration. In particular, it is a Markov-Switching autoregressive (MSAR) model with time-varying state transition probabilities. Studying market integration is an effective way to test whether the law of one price holds...